Intro
In the backtesting analysis, I have established several different profitable strategies for timing entry/exits. Visit the XHV page to see how these signals were identified.
Simple moving average (SMA)
Exponential moving average (EMA)
SMA crosses
EMA crosses
Directional movement index (DMI)
True strength index (TSI) BEST
Stochastic oscillator (stoch)
Double RSI
Donchian channel
Ensembl indicator
This script will examine the price action and these trade signals just before the daily close. If the signal is TRUE, it is bullish and if FALSE it is bearish. When there is a switch from bearish to bullish it is a buy signal and when it switches from bullish to bearish it is a sell signal. This HTML is updated just before the daily close each day, but push notifications for any trade signals are also sent by push bullet.
To receive these signals in real-time, subscribe to the following channels - it’s free for a limited time!
https://www.pushbullet.com/channel?tag=xhv_signal
If you need some help to design your own trading signals/strategies, I am happy to help for a fee. email me at mark.ziemann{αt}gmail.com for any enquiries/suggestions/feedback.
This report is distributed for FREE under the MIT licence, but if you find it useful, consider a small tip.
Reminder: this analysis is not financial advice.
suppressPackageStartupMessages({
library("jsonlite")
library("tidyverse")
library("runner")
library("quantmod")
library("TTR")
library("RPushbullet")
library("kableExtra")
})
TESTING = FALSE
MYNOTE = NULL
mydate <- Sys.time()
attr(mydate, "tzone") <- "UTC"
mydate <- as.Date(mydate)
Get XHV parameters
params <- read.table("https://mdz-analytics.com/coins/XHV/XHV_dat.txt", header=TRUE)
params %>% kbl(caption="optimised backtested parameters") %>% kable_styling("hover", full_width = F)
| indicator | parameter | meanROI | totalROI | ntrades | ndays | xhodl |
|---|---|---|---|---|---|---|
| SMA | 50 | 1.369064 | 107.60904 | 35 | 1599 | -123.26644 |
| EMA | 63 | 1.340786 | 53.08207 | 32 | 1599 | -60.80566 |
| SMAcross | 42,5 | 1.654473 | 153.39934 | 20 | 1599 | -175.71935 |
| EMAcross | 27,7 | 1.680600 | 210.80443 | 18 | 1599 | -241.47704 |
| DMI | 24 | 1.223288 | 25.50767 | 38 | 1599 | -29.21910 |
| DC | 20 | 1.548742 | 90.20343 | 19 | 1599 | -103.32827 |
| TSI | 56,39,9 | 1.640064 | 1117.79097 | 20 | 1599 | -1280.43255 |
| stoch | 34,76,6 | 1.502464 | 1479.62193 | 25 | 1599 | -1694.91087 |
| RSI2 | 61,107 | 1.198093 | 99.80300 | 53 | 1599 | -114.32460 |
| Ensemble | DMI,stoch,1 | 1.216304 | 13.82820 | 37 | 1599 | -15.72256 |
Get XHV price data
Obtaining XHV price data (daily) for the last 300 days and today’s price.
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=XHV&convert=USD&interval=daily&count=300"
download.file(URL,destfile="xhvdat.txt")
xhvdat <- fromJSON("xhvdat.txt")
price <- xhvdat$data$quotes
price <- data.frame( as.Date(price$time_close) , price$quote$USD$high, price$quote$USD$low, price$quote$USD$close)
colnames(price) <- c("date","high","low","close")
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=XHV&convert=USD&interval=hourly&time_period=hourly&count=11"
download.file(URL,destfile="xhvdat.txt")
xhvdat <- fromJSON("xhvdat.txt")
price2 <- xhvdat$data$quotes
price2 <- data.frame( as.Date(price2$time_close) , price2$quote$USD$high, price2$quote$USD$low, price2$quote$USD$close,stringsAsFactors=FALSE)
colnames(price2) <- c("date","high","low","close")
high <- max(price2[,2])
low <- min(price2[,3])
close <- price2[nrow(price2),4]
df <- data.frame(date=mydate,high=high,low=low,close=close,stringsAsFactors=FALSE)
price <- rbind(price,df)
tail(price) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close |
|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 |
if ( TESTING == TRUE) {
price[nrow(price),"Close"] <- price[nrow(price),"Close"] * 2
}
XHV SMA indicator
Now to determine whether XHV has crossed the SMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "SMA",2])
price2$ma <- SMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 0.5440337 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 0.5420838 | FALSE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 0.5392298 | FALSE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 0.5362468 | FALSE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 0.5327173 | FALSE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 0.5280983 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMA=TRUE
} else {
ens_SMA=FALSE
}
message(paste("XHV SMA signal:",xhv_signal))
## XHV SMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="XHV w SMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( xhv_signal != "NONE") {
MYNOTE <- paste("The XHV SMA signal is", xhv_signal,".")
}
XHV EMA indicator
Now to determine whether XHV has crossed the EMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "EMA",2])
price2$ma <- EMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 0.5779222 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 0.5734248 | FALSE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 0.5692355 | FALSE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 0.5651600 | FALSE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 0.5608360 | FALSE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 0.5567582 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMA=TRUE
} else {
ens_EMA=FALSE
}
message(paste("XHV EMA signal:",xhv_signal))
## XHV EMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="XHV EMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( xhv_signal != "NONE") {
MYNOTE <- paste("The XHV EMA signal is", xhv_signal,".")
}
XHV SMA cross indicator
The SMA cross is a reasonably good strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "SMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- SMA(Cl(price2),n=n1)
price2$ma2 <- SMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 0.5300507 | 0.4577330 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 0.5255662 | 0.4441779 | FALSE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 0.5213931 | 0.4370671 | FALSE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 0.5165255 | 0.4311250 | FALSE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 0.5120386 | 0.4309495 | FALSE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 0.5090288 | 0.4338665 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMAcross=TRUE
} else {
ens_SMAcross=FALSE
}
message(paste("XHV SMA cross signal:",xhv_signal))
## XHV SMA cross signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="XHV w SMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The XHV SMA cross signal is", xhv_signal,".")
}
XHV EMA cross indicator
The EMA cross is a moderately profitable strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "EMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- EMA(Cl(price2),n=n1)
price2$ma2 <- EMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 0.5066037 | 0.4618079 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 0.5014181 | 0.4548570 | FALSE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 0.4969860 | 0.4509852 | FALSE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 0.4928313 | 0.4479439 | FALSE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 0.4881141 | 0.4426554 | FALSE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 0.4839880 | 0.4395787 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMAcross=TRUE
} else {
ens_EMAcross=FALSE
}
message(paste("XHV EMA cross signal is",xhv_signal))
## XHV EMA cross signal is NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="XHV EMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The XHV EMA cross signal is", xhv_signal,".")
}
XHV DMI indicator
Directional movement indicator is a good approach to identify trend changes.
n <- as.numeric(params[params$indicator == "DMI",2])
dmi.adx <- ADX(price[,c("high","low","close")],n=n)
price2 <- cbind(price,dmi.adx)
price2$signal <- dmi.adx[,1] > dmi.adx[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | DIp | DIn | DX | ADX | signal |
|---|---|---|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 16.43160 | 21.49912 | 13.359940 | 7.892779 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 16.00269 | 20.94137 | 13.367985 | 8.120912 | FALSE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 17.71319 | 20.22704 | 6.625827 | 8.058617 | FALSE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 17.50039 | 19.98405 | 6.625827 | 7.998918 | FALSE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 17.19791 | 20.44805 | 8.633436 | 8.025356 | FALSE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 17.06674 | 20.29209 | 8.633436 | 8.050693 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_DMI=TRUE
} else {
ens_DMI=FALSE
}
message(paste("XHV DMI signal:",xhv_signal))
## XHV DMI signal: NONE
price2 <- as.data.frame(price2)
par(mfrow=c(2,1))
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="XHV USD price")
grid()
plot(price2$DIp~as.Date(price2$date),type="l", col="blue",
xlab="Date",ylab="price (USD)",main="XHV DMI")
grid()
lines(price2$DIn ~ as.Date(price2$date) ,col="red")
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"XHV DMI signal is", xhv_signal,".")
}
XHV TSI indicator
True Strength Indicator is one of the more profitable approaches. Its success lies in how it changes rapidly when momentum shifts. For most coins, this indicator performs “best” in backtesting analysis, which means it should carry relatively more weight than other indicators.
n <- as.numeric(unlist(strsplit(params[params$indicator == "TSI",2],",")))
n1 <- n[1]
n2 <- n[2]
ns <- n[3]
TSI <- function(x, n.first = 25, n.second = 13, n.signal = 7) {
#True Strength Indicator
#https://school.stockcharts.com/doku.php?id=technical_indicators:true_strength_index
x <- try.xts(x, error = as.matrix)
pc <- x - lag.xts(x, na.pad = T) #force lag.xts to get na padding
dspc <- EMA(EMA(pc, n = n.first), n = n.second)
dsapc <- EMA(EMA(abs(pc), n = n.first), n = n.second)
tsi <- 100 * (dspc/dsapc)
signal <- EMA(tsi, n = n.signal)
r <- cbind(tsi, signal)
r <- reclass(r, x)
if (!is.null(dim(r))) colnames(r) <- c("tsi", "signal")
return(r)
}
tsi <- TSI(price$close , n.first = n1, n.second = n2, n.signal = ns )
colnames(tsi) <- c("tsi","sig")
price2 <- cbind(price,tsi)
price2$signal <- tsi[,1] > tsi[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | tsi | sig | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | -11.24073 | -10.80968 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | -11.44477 | -10.93670 | FALSE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | -11.60816 | -11.07099 | FALSE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | -11.76548 | -11.20989 | FALSE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | -11.96938 | -11.36179 | FALSE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | -12.14194 | -11.51782 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_TSI=TRUE
} else {
ens_TSI=FALSE
}
message(paste("XHV TSI signal:",xhv_signal))
## XHV TSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(tsi[,1] ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="TSI",main="TSI")
lines(as.Date(price2$date), tsi[,2] , col="red" )
grid()
par(mfrow=c(1,1))
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"XHV TSI signal is", xhv_signal,".")
}
XHV stochastic oscillator indicator
Similar to the TSI, the stoch can pinpoint early changes in momentum, however it may give many false positives.
n <- as.numeric(unlist(strsplit(params[params$indicator == "stoch",2],",")))
n1 <- n[1]
n2 <- n[2]
n3 <- n[3]
sto <- stoch(HLC(price), nFastK=n1 , nFastD=n2 , nSlowD=n2 , bounded = TRUE, smooth=n3)
price2 <- cbind(price,sto)
price2$signal <- price2$fastK > price2$fastD
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | fastK | fastD | slowD | signal |
|---|---|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 0.1601180 | 0.3624296 | 0.2477146 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 0.1254689 | 0.3616850 | 0.2511687 | FALSE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 0.0958554 | 0.3600745 | 0.2545829 | FALSE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 0.0885286 | 0.3581839 | 0.2579493 | FALSE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 0.0771508 | 0.3560568 | 0.2612578 | FALSE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 0.0909479 | 0.3540836 | 0.2645064 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_stoch=TRUE
} else {
ens_stoch=FALSE
}
message(paste("XHV stoch signal:",xhv_signal))
## XHV stoch signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$fastK ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="stochastic oscillator")
lines(as.Date(price2$date), price2$fastD , col="red" )
grid()
par(mfrow=c(1,1))
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"XHV Stoch signal is", xhv_signal,".")
}
XHV double RSI indicator
Double RSI is simply two RSI lines.
n <- as.numeric(unlist(strsplit(params[params$indicator == "RSI2",2],",")))
n1 <- n[1]
n2 <- n[2]
rsi1 <- RSI(price$close,n=n1,maType=EMA)
rsi2 <- RSI(price$close,n=n2,maType=EMA)
price2 <- cbind(price,rsi1,rsi2)
price2$signal <- price2$rsi1 > price2$rsi2
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | rsi1 | rsi2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 40.43433 | 40.91965 | FALSE |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 41.74046 | 41.30299 | TRUE |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 42.12616 | 41.41691 | TRUE |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 42.09665 | 41.40852 | TRUE |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 41.44026 | 41.22234 | TRUE |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 41.71804 | 41.30188 | TRUE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
xhv_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
xhv_signal="SELL"
}
} else {
xhv_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_RSI2=TRUE
} else {
ens_RSI2=FALSE
}
message(paste("XHV RSI signal:",xhv_signal))
## XHV RSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1 ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="double RSI")
lines(as.Date(price2$date), price2$rsi2 , col="red" )
grid()
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1/price2$rsi2 ~ as.Date(price2$date),type="l",
xlab="Date",ylab="RSI ratio",main="double RSI")
grid()
abline(h=1,lty=2,lwd=2)
par(mfrow=c(1,1))
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"XHV RSI2 signal is", xhv_signal,".")
}
XHV Donchian channel indicator
n <- as.numeric(params[params$indicator == "DC",2])
price2 <- price[1:nrow(price)-1,]
dc <- DonchianChannel(price2$close,n=n)
price2$higher <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"high"] > dc[(i-1),"high"]
} ))
price2$lower <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"low"] < dc[(i-1),"low"]
} ))
price2 <- price2[price2$higher != price2$lower,]
# show changing rows only
price2 <- price2[c(NA,unlist(lapply(2:nrow(price2) , function(i) {
price2$higher[i] != price2$higher[i-1]
}))),]
price2 <- price2[!is.na(price2$higher),]
previous_signal <- price2[nrow(price2),"higher"]
price2 <- price
dc <- DonchianChannel(price2$close,n=n)
colnames(dc) <- c("dchigh","dcmid","dclow")
price2 <- cbind(price2,dc)
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | dchigh | dcmid | dclow |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.4458335 | 0.4111750 | 0.4157633 | 0.5449829 | 0.4803731 | 0.4157633 |
| 2022-09-22 | 0.4429768 | 0.4111331 | 0.4340045 | 0.5392360 | 0.4774997 | 0.4157633 |
| 2022-09-23 | 0.4702876 | 0.4290004 | 0.4393697 | 0.5392360 | 0.4774997 | 0.4157633 |
| 2022-09-24 | 0.4454243 | 0.4313196 | 0.4388200 | 0.5392360 | 0.4774997 | 0.4157633 |
| 2022-09-25 | 0.4418418 | 0.4220523 | 0.4267899 | 0.5392360 | 0.4774997 | 0.4157633 |
| 2022-09-26 | 0.4309843 | 0.4225514 | 0.4303485 | 0.5392360 | 0.4774997 | 0.4157633 |
xhv_signal="NONE"
# if we in negative territory, check whether time to buy
if ( previous_signal == FALSE ) {
if ( price2[nrow(price2),"dchigh"] > price2[nrow(price2)-1,"dchigh"] ) {
xhv_signal="BUY"
}
}
# if we in positive territory, check whether time to sell
if ( previous_signal == TRUE ) {
if ( price2[nrow(price2),"dclow"] < price2[nrow(price2)-1,"dclow"] ) {
xhv_signal="SELL"
}
}
if ( xhv_signal=="NONE" ) {
today_signal=previous_signal
} else {
if (xhv_signal=="BUY") { today_signal = TRUE }
if (xhv_signal=="SELL") { today_signal = FALSE }
}
if (today_signal==TRUE) {
ens_DC=TRUE
} else {
ens_DC=FALSE
}
message(paste("XHV DC signal:",xhv_signal))
## XHV DC signal: NONE
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
price2 <- tail(price2,100)
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dcmid~ as.Date(price2$date),lwd=1.5,col="gray")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"XHV Donchian channel signal is", xhv_signal,".")
}
XHV Ensemble indicator
This is a combination of a number of indicators.
ens <- params[params$indicator=="Ensemble","parameter"]
myrev <- intToUtf8(rev(utf8ToInt(ens)))
myrev <- unlist(strsplit(myrev,","))
# get thresh
n <- as.numeric(myrev[1])
myrev <- myrev[2:length(myrev)]
# get combination
combo <- sapply(myrev,function(s) { intToUtf8(rev(utf8ToInt(s))) })
message(paste("The combination is",paste(combo,collapse=" ")))
## The combination is stoch DMI
message(paste("The buy threshold is",n))
## The buy threshold is 1
indicators <- c("SMA"=ens_SMA,
"EMA"=ens_EMA,
"SMAcross"=ens_SMAcross,
"EMAcross"=ens_EMAcross,
"DMI"=ens_DMI,
"TSI"=ens_TSI,
"stoch"=ens_stoch,
"RSI2"=ens_RSI2,
"DC"=ens_DC)
indicators <- indicators[names(indicators) %in% combo]
message("State of the indicators:")
## State of the indicators:
indicators
## DMI stoch
## FALSE FALSE
today_count <- sum(indicators)
message(paste("today_count_XHV",today_count,sep="="))
## today_count_XHV=0
today_signal <- today_count>=n
prev_html <- readLines("https://mdz-analytics.com/coins/XHV/alerts_XHV.html")
prev_signal <- length(grep("XHV ensemble indicator is BULLISH",prev_html))>2
xhv_signal <- "NONE"
if ( today_signal != prev_signal ) {
if ( today_signal == TRUE ) {
xhv_signal="BUY"
} else {
xhv_signal="SELL"
}
}
if (today_signal==TRUE) {
message("XHV ensemble indicator is BULLISH")
} else {
message("XHV ensemble indicator is BEARISH")
}
## XHV ensemble indicator is BEARISH
message(paste("XHV ENS signal:",xhv_signal))
## XHV ENS signal: NONE
if ( xhv_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"XHV Ensemble indicator is", xhv_signal,".")
}
Send a push notification.
MYNOTE
## NULL
if ( !is.null(MYNOTE) ) {
MYNOTE <- paste(MYNOTE, ". Visit https://mdz-analytics.com/coins/XHV/alerts_XHV.html for the details")
MYNOTE
pbPost("note", "Crypto Alert", MYNOTE ,channel="xhv_signal")
}
Session information
For reproducibility
Click HERE to show session info
sessionInfo()
## R version 4.1.2 (2021-11-01)
## Platform: aarch64-unknown-linux-gnu (64-bit)
## Running under: Ubuntu 22.04.1 LTS
##
## Matrix products: default
## BLAS: /usr/lib/aarch64-linux-gnu/blas/libblas.so.3.10.0
## LAPACK: /usr/lib/aarch64-linux-gnu/lapack/liblapack.so.3.10.0
##
## locale:
## [1] LC_CTYPE=en_AU.UTF-8 LC_NUMERIC=C
## [3] LC_TIME=en_AU.UTF-8 LC_COLLATE=en_AU.UTF-8
## [5] LC_MONETARY=en_AU.UTF-8 LC_MESSAGES=en_AU.UTF-8
## [7] LC_PAPER=en_AU.UTF-8 LC_NAME=C
## [9] LC_ADDRESS=C LC_TELEPHONE=C
## [11] LC_MEASUREMENT=en_AU.UTF-8 LC_IDENTIFICATION=C
##
## attached base packages:
## [1] stats graphics grDevices utils datasets methods base
##
## other attached packages:
## [1] kableExtra_1.3.4 RPushbullet_0.3.4 quantmod_0.4.20 TTR_0.24.3
## [5] xts_0.12.1 zoo_1.8-10 runner_0.4.1 forcats_0.5.1
## [9] stringr_1.4.0 dplyr_1.0.9 purrr_0.3.4 readr_2.1.2
## [13] tidyr_1.2.0 tibble_3.1.8 ggplot2_3.3.6 tidyverse_1.3.2
## [17] jsonlite_1.8.0
##
## loaded via a namespace (and not attached):
## [1] httr_1.4.4 sass_0.4.2 viridisLite_0.4.0
## [4] modelr_0.1.8 bslib_0.4.0 assertthat_0.2.1
## [7] highr_0.9 googlesheets4_1.0.1 cellranger_1.1.0
## [10] yaml_2.3.5 pillar_1.8.0 backports_1.4.1
## [13] lattice_0.20-45 glue_1.6.2 digest_0.6.29
## [16] rvest_1.0.2 colorspace_2.0-3 htmltools_0.5.3
## [19] pkgconfig_2.0.3 broom_1.0.0 haven_2.5.0
## [22] bookdown_0.28 scales_1.2.0 webshot_0.5.3
## [25] svglite_2.1.0 tzdb_0.3.0 googledrive_2.0.0
## [28] generics_0.1.3 ellipsis_0.3.2 cachem_1.0.6
## [31] withr_2.5.0 cli_3.3.0 magrittr_2.0.3
## [34] crayon_1.5.1 readxl_1.4.1 evaluate_0.16
## [37] fs_1.5.2 fansi_1.0.3 xml2_1.3.3
## [40] tools_4.1.2 hms_1.1.1 gargle_1.2.0
## [43] lifecycle_1.0.1 munsell_0.5.0 reprex_2.0.2
## [46] compiler_4.1.2 jquerylib_0.1.4 systemfonts_1.0.4
## [49] rlang_1.0.4 grid_4.1.2 rstudioapi_0.13
## [52] rmarkdown_2.15 gtable_0.3.0 DBI_1.1.3
## [55] curl_4.3.2 R6_2.5.1 lubridate_1.8.0
## [58] knitr_1.39 fastmap_1.1.0 utf8_1.2.2
## [61] stringi_1.7.8 parallel_4.1.2 rmdformats_1.0.4
## [64] Rcpp_1.0.9 vctrs_0.4.1 dbplyr_2.2.1
## [67] tidyselect_1.1.2 xfun_0.32